摘要
不确定性已成为系统性金融风险传染的重要驱动因素之一,基于2008—2019年中国50家上市金融机构的微观数据,通过构建金融机构风险传染网络,从微观层面实证探究经济政策不确定性对系统性金融风险的影响效应,研究发现:经济政策不确定性的提高会显著增加系统性金融风险水平,其不仅会加剧金融机构的风险传染性,而且会加重金融机构自身的脆弱性;经济政策不确定性对银行、证券、房地产和金融控股四类部门风险的影响效应最为显著,在经济政策不确定较快上升时期,银行、证券和房地产部门表现出显著的风险净溢入效应,而金融控股部门则表现出显著的风险净溢出效应;此外,异质性分析显示,对于收益水平较低的个体机构以及在经济环境不景气和政策环境不稳定时期,经济政策不确定性的上升对系统性金融风险的影响都更加显著。研究结论为经济转型时期经济政策的制定和金融风险的防范提供了重要的参考。
Based on the microdata of 50 listed financial institutions in China from 2008 to 2019,this study constructed a financial risk contagion network to explore the impact of economic policy uncertainty on systematic financial risks.It was found that higher uncertainty in economic policy significantly increases the level of systematic financial risk,which not only intensifies the risk contagion across financial institutions,but also makes these institutions more vulnerable.Economic policy uncertainty has the most significant impact on the risks of banks,securities,real estate,and financial holdings.When economic policy uncertainty rises,banks,securities,and real estate experience a significant net risk inpour effect,while financial holdings witness a significant net risk spillover effect.These effects are more pronounced in a depressed economic environment and unstable policy environment.It is thus necessary to mitigate the impairment on financial market stability caused by economic policy uncertainty to prevent financial risk.
作者
李洋
佟孟华
褚翠翠
Li Yang;Tong Menghua;Chu Cuicui(School of Economics,Northeast University of Finance and Economics)
出处
《金融经济学研究》
CSSCI
北大核心
2021年第4期31-47,共17页
Financial Economics Research
基金
辽宁省社会科学基金项目(L19BJY023)。
关键词
经济政策不确定性
系统性金融风险
尾部风险模型
风险传染网络
economic policy uncertainty
systematic financial risk
tail risk model
financial risk contagion network
